Insects play a key role in European agroecosystems. Insects provide important ecosystem services and make a significant contribution to the food chain, sustainable agriculture, the farm-to-fork (F2F) strategy, and the European Green Deal. Edible insects are regarded as a sustainable alternative to livestock, but their microbiological safety for consumers has not yet been fully clarified. The aim of this article is to describe the role of edible insects in the F2F approach, to discuss the latest veterinary guidelines concerning consumption of insect-based foods, and to analyze the biological, chemical, and physical hazards associated with edible insect farming and processing. Five groups of biological risk factors, ten groups of chemical risk factors, and thirteen groups of physical risks factors have been identified and divided into sub-groups. The presented risk maps can facilitate identification of potential threats, such as foodborne pathogens in various insect species and insect-based foods. Ensuring safety of insect-based foods, including effective control of foodborne diseases, will be a significant milestone on the path to maintaining a sustainable food chain in line with the F2F strategy and EU policies. Edible insects constitute a new category of farmed animals and a novel link in the food chain, but their production poses the same problems and challenges that are encountered in conventional livestock rearing and meat production.